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Tail risk spillovers between international agricultural commodity and China's financial markets: based on quantile time-frequency perspective

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  • Huang, Xianming
  • Liu, Luying
  • Jiang, Heng
  • Pu, Yuqi

Abstract

This paper integrates the QVAR model with various spillover indices to investigate tail risk transmissions between global agricultural commodities and China's financial markets. The findings reveal that international agricultural commodity markets serve as significant risk sources, while China's financial markets primarily act as risk recipients. Notably, short-term spillovers dominate tail risk contagion, characterized by asymmetric U-shaped structure across quantiles. As the increased tail dependence of these markets, our study underscores the importance for policymakers to adopt timely measures in response to extreme market conditions, advocating for strengthened regulations and diversified portfolio strategies.

Suggested Citation

  • Huang, Xianming & Liu, Luying & Jiang, Heng & Pu, Yuqi, 2025. "Tail risk spillovers between international agricultural commodity and China's financial markets: based on quantile time-frequency perspective," Finance Research Letters, Elsevier, vol. 78(C).
    • Handle: RePEc:eee:finlet:v:78:y:2025:i:c:s1544612325004829
    DOI: 10.1016/j.frl.2025.107219
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